[1]于培民,屠新曙.不同借贷利率的投资组合的有效前沿[J].华侨大学学报(自然科学版),2003,24(4):430-434.[doi:10.3969/j.issn.1000-5013.2003.04.019]
　Yu Peimin,Tu Xinshu.Efficient Frontier of Portfolio under Different Loan Interest Rates[J].Journal of Huaqiao University(Natural Science),2003,24(4):430-434.[doi:10.3969/j.issn.1000-5013.2003.04.019]
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不同借贷利率的投资组合的有效前沿()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第24卷
期数:
2003年第4期
页码:
430-434
栏目:
出版日期:
2003-10-20

文章信息/Info

Title:
Efficient Frontier of Portfolio under Different Loan Interest Rates
文章编号:
1000-5013(2003)04-0430-05
作者:
于培民; 屠新曙
天津大学管理学院; 天津大学管理学院 天津300072; 天津300072
Author(s):
Yu Peimin;  Tu Xinshu
College of Manag., Tianjin Univ., 300072, Tianjin, China
关键词:
市场投资组合;  有效前沿;  资本市场线
Keywords:
market portfolio;  efficient frontier;  capital marketing line
分类号:
F224
DOI:
10.3969/j.issn.1000-5013.2003.04.019
文献标志码:
A
摘要:
研究在不同借贷利率下,投资组合的有效前沿 .运用一种几何方法,给出该有效前沿的方程 .把 Markowitz模型的有效前沿、不同借贷利率下的资本市场线 (CML),分别用投资组合的权重向量予以表示 .再由 CML的定义,就在 Markowitz模型的有效前沿上,分别求出不同借贷利率下资本市场线与 Markowitz模型有效前沿的切点 .由此,得到不同借贷利率下 CML的斜率,以及不同借贷利率下投资组合的有效前沿
Abstract:
Efficient frontier of portfolio is studied under different loan interest rates and equation for this efficient frontier is given by using a geometric method. The details are described in 3 steps. Firstly, efficient frontier of Markowitz model is expressed by using weight vector of porlfolio, secondly, capital marketing lines (CML) under different loan interest rates are also expressed by using weight vector of portfolio. And finally, tangential points of CML under different loan interest rates with efficient frontier of Markowitz aresolved respectively, which are just solved on the efficient frontier of Markowitz model by the definition of CML; and moreover, the slopes of CML under different loan interest rates are also obtained. So the efficient frontier of portfolio under different loan interest rates is obtained.

参考文献/References:

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[2] WILLIAM S. Capital asset prices:A theory of market equilibrium under conditions of risk [J]. Journal of Finance, 1964(3):425-442.
[3] John L. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets [J]. The Review of Economics and Statistics, 1965(1):13-37.doi:10.2307/1924119.
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[5] Jan M. Equilibrium in a capital asset market [J]. Econometrica, 1966(4):768-783.
[6] 屠新曙, 王键. 求解投资组合最优权重的几何方法 [J]. 中国管理科学, 2000(3):20-25.doi:10.3321/j.issn:1003-207X.2000.03.004.

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更新日期/Last Update: 2014-03-23